【摘要】：期貨市場運(yùn)行績效是期貨市場質(zhì)量的反映,關(guān)系到期貨市場功能能否充分發(fā)揮,關(guān)系到期貨市場能否持續(xù)健康發(fā)展。特別是在當(dāng)前我國農(nóng)業(yè)經(jīng)濟(jì)結(jié)構(gòu)深刻調(diào)整的時(shí)期,農(nóng)產(chǎn)品期貨市場良好的運(yùn)行績效能夠有效化解我國農(nóng)業(yè)經(jīng)濟(jì)發(fā)展過程中的風(fēng)險(xiǎn),增加農(nóng)業(yè)產(chǎn)業(yè)競爭力,有助于解決我國“三農(nóng)”問題。我國農(nóng)產(chǎn)品期貨市場還處于發(fā)展的關(guān)鍵時(shí)期,因此,全面了解掌握其市場運(yùn)行狀況,明確存在的相關(guān)問題,對保障市場健康運(yùn)行,進(jìn)一步提升市場運(yùn)行績效,提升市場的競爭力和地位至關(guān)重要。 本文以我國農(nóng)產(chǎn)品期貨市場為研究對象,考察其產(chǎn)生和發(fā)展的歷程,分析農(nóng)產(chǎn)品期貨市場對市場參與主體之一的涉農(nóng)企業(yè)價(jià)值和業(yè)績的影響,剖析其影響原因,通過橫向比較、縱向?qū)Ρ群湍Ｐ蜆?gòu)建,從波動性、流動性和有效性三個(gè)視角全面、系統(tǒng)、深入研究我國農(nóng)產(chǎn)品期貨市場運(yùn)行績效。在對運(yùn)行分析的基礎(chǔ)上,結(jié)合典型案例分析,針對我國農(nóng)產(chǎn)品期貨市場運(yùn)行的狀況,從期貨市場微觀結(jié)構(gòu)(市場參與主體、品種設(shè)計(jì))、中觀環(huán)境(交易成本、交易制度、交易方式)和宏觀環(huán)境(現(xiàn)貨市場、金融市場、宏觀政策)系統(tǒng)提出我國農(nóng)產(chǎn)品期貨市場運(yùn)行績效的提升策略建議。主要研究工作及結(jié)論如下： (1)現(xiàn)階段要大力提升農(nóng)產(chǎn)品期貨市場運(yùn)行績效,充分發(fā)揮農(nóng)產(chǎn)品期貨市場的基本功能,使農(nóng)產(chǎn)品期貨工具成為市場參與主體規(guī)避風(fēng)險(xiǎn)的主要工具。 運(yùn)用panel模型對我國涉農(nóng)上市公司使用期貨工具的實(shí)證研究發(fā)現(xiàn),是否使用農(nóng)產(chǎn)品期貨工具進(jìn)行風(fēng)險(xiǎn)管理對企業(yè)價(jià)值和業(yè)績沒有明顯影響,但對企業(yè)業(yè)績的某一指標(biāo)(如ROA)還是起到了一定的作用。實(shí)證分析還發(fā)現(xiàn),在我國177家上市涉農(nóng)企業(yè)中,最近幾年利用期貨工具進(jìn)行風(fēng)險(xiǎn)管理的不到40家,遠(yuǎn)低于世界83.3%的平均水平。從動機(jī)理論來看,由于使用期貨工具對我國涉農(nóng)企業(yè)的價(jià)值和業(yè)績影響還不顯著,影響到了市場參與主體利用期貨工具的積極性,導(dǎo)致市場參與主體的不足,影響了市場運(yùn)行的績效和功能發(fā)揮。 (2)從波動性看,我國部分農(nóng)產(chǎn)品期貨品種運(yùn)行績效有所提升,但是市場整體績效還需加強(qiáng)。 通過進(jìn)行系統(tǒng)性的橫向比較分析,發(fā)現(xiàn)芝加哥期貨交易所市場作為一個(gè)成熟的期貨市場,在一定的波動幅度內(nèi),市場活躍度好,其運(yùn)行比較少出現(xiàn)極端的波動性變差,市場運(yùn)行是比較平穩(wěn)的。而在我國農(nóng)產(chǎn)品期貨市場中,與芝加哥期貨市場相同品種的小麥、白糖、棉花、大豆、豆粕、玉米和豆油期貨品種的波動性之間不存在顯著差異,但總體上我國農(nóng)產(chǎn)品期貨品種波動性之間存在極顯著的差異,而且我國農(nóng)產(chǎn)品期貨市場各個(gè)品種的波動性明顯弱于對應(yīng)的在CBOT上運(yùn)行的品種,說明我國農(nóng)產(chǎn)品市場整體還不夠成熟,活躍度有待提升。另外,我國農(nóng)產(chǎn)品期貨市場的波動還存在長記憶性、杠桿效應(yīng)和到期效應(yīng),而且還受到部分宏觀經(jīng)濟(jì)政策的影響。 (3)我國農(nóng)產(chǎn)品期貨市場流動性水平還是比較高,但是不夠穩(wěn)定。 通過對我國農(nóng)產(chǎn)品期貨市場與芝加哥期貨市場之間的流動性進(jìn)行橫向比較分析發(fā)現(xiàn),我國農(nóng)產(chǎn)品期貨市場流動性的水平還是比較高的。但是通過對我國農(nóng)產(chǎn)品期貨市場不同的發(fā)展階段的流動性進(jìn)行縱向分析發(fā)現(xiàn),流動性也會出現(xiàn)波動狀態(tài),反映出我國農(nóng)產(chǎn)品期貨市場運(yùn)行質(zhì)量還不是很穩(wěn)定。而我國農(nóng)產(chǎn)品期貨市場在價(jià)格上漲和下跌時(shí)流動性整體上不存在顯著差異。另外,從交易量波動性的基礎(chǔ)上分析市場流動性水平發(fā)現(xiàn),芝加哥期貨交易所小麥期貨市場的日交易量變化對價(jià)格波動沒有顯著影響,表明芝加哥期貨市場作為一個(gè)成熟的期貨市場,其市場確實(shí)具備了非常好的市場流動性。而我國鄭州商品交易所的白糖和大連商品交易所的豆粕的日交易量變化對期貨市場價(jià)格的波動產(chǎn)生了一定的負(fù)面影響,這也表明我國期貨市場運(yùn)行績效有待提升。 (4)農(nóng)產(chǎn)品期貨市場還不是弱式有效,但是部分品種的期貨市場具有一定的價(jià)格發(fā)現(xiàn)功能,同品類期貨品種之間具有較強(qiáng)波動溢出效應(yīng)。 首先運(yùn)用單位根檢驗(yàn)、序列相關(guān)性檢驗(yàn)和游程檢驗(yàn)三種方法進(jìn)行分析檢驗(yàn),三種檢驗(yàn)的結(jié)果一致說明我國農(nóng)產(chǎn)品期貨市場的價(jià)格波動還不符合隨機(jī)游走過程,農(nóng)產(chǎn)品期貨市場還沒有達(dá)到弱式有效。其次,通過對小麥、白糖、棉花、早秈稻、大豆、豆粕和玉米7個(gè)品種分析發(fā)現(xiàn),小麥、早秈稻、豆粕和玉米的期貨市場價(jià)格與現(xiàn)貨市場價(jià)格之間沒有引導(dǎo)作用。而白糖和大豆期貨價(jià)格變動對現(xiàn)貨價(jià)格變動有顯著的引導(dǎo)作用,是單向引導(dǎo)關(guān)系；棉花期貨價(jià)格變動與現(xiàn)貨價(jià)格變動有顯著的相互引導(dǎo)作用,即雙向引導(dǎo)關(guān)系,且棉花現(xiàn)貨價(jià)格的影響力略大于棉花期貨的影響力。最后,在以豆油、菜籽油和棕櫚油三個(gè)油脂期貨為例,對同品類期貨波動溢出進(jìn)行研究,豆油期貨與菜籽油期貨之間的波動溢出傳導(dǎo)性較強(qiáng)；豆油期貨與棕櫚油期貨兩者對彼此都有較大的波動溢出效應(yīng)；棕櫚油期貨與菜籽油期貨之間存在顯著的波動溢出效應(yīng)。 (5)發(fā)展“期貨農(nóng)業(yè)”,培育期貨市場參與主體、加強(qiáng)市場交易品種創(chuàng)新、完善交易所服務(wù)功能、通過提升期貨市場運(yùn)行績效來提升競爭力。 基于對我國農(nóng)產(chǎn)品期貨市場運(yùn)行績效實(shí)證分析和對期貨市場參與主體——涉農(nóng)企業(yè)及宏觀經(jīng)濟(jì)政策對期貨市場運(yùn)行的基礎(chǔ)上,結(jié)合典型案例分析,從期貨市場的需求方——參與主體、期貨市場的供給方——期貨交易所、需求方和供給方的中介以及宏觀制度系統(tǒng)分析提出提升市期貨場運(yùn)行績效的策略：大力發(fā)展“期貨農(nóng)業(yè)”,讓農(nóng)產(chǎn)品期貨市場深入到農(nóng)業(yè)生產(chǎn)的各個(gè)環(huán)節(jié),并積極培育和壯大期貨市場參與主體、加強(qiáng)市場交易品種創(chuàng)新、完善交易所服務(wù)功能、提升涉農(nóng)期貨公司競爭力、積極提供政策扶持和制度保障等。 主要?jiǎng)?chuàng)新點(diǎn)： (1)研究視角。首先,以往很少有研究從農(nóng)產(chǎn)品期貨市場參與主體角度分析期貨市場的作用,本文以農(nóng)產(chǎn)品期貨市場參與主體之一的涉農(nóng)企業(yè)為對象,深入分析是否使用期貨工具對企業(yè)價(jià)值和業(yè)績的影響,探討農(nóng)產(chǎn)品期貨市場的運(yùn)行績效。其次,以往關(guān)于農(nóng)產(chǎn)品期貨市場運(yùn)行績效的研究針對某個(gè)或某幾個(gè)具體品種研究多,而且針對市場運(yùn)行績效某一方面(波動性、流動性或有效性)的研究多,但就整個(gè)農(nóng)產(chǎn)品期貨市場運(yùn)行績效全面、系統(tǒng)的研究不多見,本文以我國農(nóng)產(chǎn)品期貨市場為研究對象,全面、系統(tǒng)、深入分析其運(yùn)行績效,為衡量我國農(nóng)產(chǎn)品期貨市場運(yùn)行質(zhì)量提供參考。再次,宏觀經(jīng)濟(jì)政策對于期貨市場的影響研究,以往主要從定性的角度分析,鮮有定量分析,本文通過選取宏觀經(jīng)濟(jì)的財(cái)政政策指標(biāo)和貨幣政策指標(biāo),構(gòu)建模型,定量分析宏觀經(jīng)濟(jì)對我國農(nóng)產(chǎn)品期貨市場的影響。最后,以往關(guān)于市場波動溢出的研究主要關(guān)注境內(nèi)外市場的溢出效應(yīng)和同一區(qū)域不同品種間的溢出效應(yīng),而針對同一區(qū)域內(nèi)同類品種的波動溢出效應(yīng)的研究還不多見,本文以我國的油脂類期貨(豆油、菜籽油和棕櫚油)為研究對象,探討它們之間的波動溢出效應(yīng),為我國同類期貨品種的上市運(yùn)行提供參考。 (2)研究方法。本文圍繞我國農(nóng)產(chǎn)品期貨市場運(yùn)行績效這一核心問題,在研究中采取統(tǒng)計(jì)分析方法、計(jì)量分析方法、案例分析方法,綜合運(yùn)用制度經(jīng)濟(jì)學(xué)理論、企業(yè)價(jià)值理論、動因理論、價(jià)格波動理論、流動性理論、市場有效性理論和金融市場微觀結(jié)構(gòu)理論形成整合的理論分析框架,這種跨學(xué)科、多元化的研究方法在以往期貨研究中極為少見。
[Abstract]:The performance of the futures market is a reflection of the quality of the futures market. It is related to the full play of the function of the futures market and the healthy development of the futures market. Especially in the period of the profound adjustment of the current agricultural economic structure in China, the good performance of the agricultural futures market can effectively resolve the development of the agricultural economy in China. The risk in the process, increasing the competitiveness of the agricultural industry, will help to solve the "three rural" problems in China. The futures market of agricultural products in China is still in the key period of development. Therefore, we can fully understand and grasp the market operation situation, clear the existing problems, ensure the healthy transportation of the market, further improve the performance of the market, and improve the competition of the market. Power and position are of vital importance.
This paper, taking China's agricultural product futures market as the research object, examines the course of its production and development, analyzes the influence of the agricultural futures market on the value and performance of the agricultural enterprises involved in the main body of the market, analyzes the causes of its influence, through the horizontal comparison, vertical contrast and model construction, from the three perspectives of volatility, liquidity and effectiveness. On the basis of the analysis of the operation of China's agricultural products futures market, based on the analysis of the operation, the micro structure of the futures market (the main body of the market participation, the variety design), the medium environment (transaction cost, trading system, trading mode) and the macro environment on the basis of the analysis of the operation of the agricultural products futures market in China. The spot market, financial market and macro policy system put forward strategies for improving the performance of China's agricultural futures market. The main research work and conclusions are as follows:
(1) at the present stage, we should vigorously promote the performance of the futures market of agricultural products, give full play to the basic functions of the futures market of agricultural products, and make the futures tools of agricultural products the main tool to avoid the risk of the participants in the market.
The empirical study on the use of futures tools for listed agricultural companies in China by using panel model finds that the use of agricultural futures tools for risk management has no significant impact on the enterprise value and performance, but a certain index (such as ROA) for the performance of the enterprise has been given a certain amount of use. The empirical analysis also found that 177 listed in China are listed on the agriculture. In the enterprise, less than 40 risk management is carried out by futures tools in recent years, which is far below the average level of 83.3% in the world. From the theory of motivation, the impact of the use of futures tools on the value and performance of the agricultural enterprises in China is not significant, which affects the enthusiasm of the market participants to use the futures tools and lead to the market participants. The deficiency has affected the performance and function of market operation.
(2) from the perspective of volatility, the performance of some agricultural futures varieties in China has improved, but the overall market performance needs to be strengthened.
Through systematic comparative analysis, it is found that the Chicago futures exchange market, as a mature futures market, has good market activity within a certain range of volatility, and its operation is less extreme volatility, and the market operation is relatively stable. In China's agricultural futures market, Chicago futures market and futures market in China. There is no significant difference between the volatility of wheat, white sugar, cotton, soybean, soybean meal, corn and soybean oil futures in the same variety, but on the whole, there is a very significant difference between the volatility of our agricultural futures varieties, and the volatility of each product in the agricultural futures market of our country is obviously weaker than that of the corresponding products on the CBOT. It shows that the whole market of agricultural products in China is not mature enough and the activity needs to be promoted. In addition, the volatility of our agricultural futures market still has long memory, leveraged effect and maturity effect, and it is also influenced by some macroeconomic policies.
(3) the liquidity level of China's agricultural futures market is still relatively high, but it is not stable enough.
Through the analysis of the liquidity between China's agricultural futures market and the Chicago futures market, it is found that the liquidity of our agricultural futures market is still relatively high. However, through the longitudinal analysis of the liquidity in the different development stages of our agricultural futures market, the liquidity will also appear to be wave. The dynamic state shows that the operating quality of our agricultural futures market is not very stable. However, there is no significant difference in the overall liquidity of China's agricultural futures market when the price rises and falls. On the basis of the volatility of the trading volume, the market liquidity level is analyzed and the daily exchange of the wheat futures market on the Chicago futures exchange is found. The change of easy quantity has no significant influence on the price fluctuation. It shows that as a mature futures market, the Chicago futures market has a very good market liquidity, and the daily trading of the white sugar and the soybean meal of the Dalian Mercantile Exchange in China's Zhengzhou Mercantile Exchange has produced a certain fluctuation in the price fluctuation of the futures market. The negative impact also shows that the performance of China's futures market needs to be improved.
(4) the futures market of agricultural products is not weak and effective, but the futures market of some varieties has a certain price discovery function, and there is a strong volatility spillover effect between the varieties of futures and the varieties of futures.
First, the unit root test, sequence correlation test and travel test are used to analyze the three methods. The results of the three tests show that the price fluctuation of the agricultural futures market of our country does not conform to the random walk process, and the agricultural futures market has not yet reached the weak efficiency. Secondly, the wheat, white sugar, cotton, early indica rice, The analysis of 7 varieties of soybean, soybean meal and corn found that the futures market price of wheat, early indica rice, soybean meal and corn did not lead to the price of spot market. The change of white sugar and soybean futures prices has a significant guiding role on the change of spot price, which is a one-way guide; the fluctuation of cotton futures price and the change of spot price have the effect on the change of spot price. The significant mutual guidance, that is, the two-way guidance relationship, and the influence of cotton spot price is slightly greater than the influence of cotton futures. Finally, in the case of three oil futures of soybean oil, rapeseed oil and palm oil, the volatility spillover between soybean oil futures and rapeseed oil futures is stronger, and the volatility of soybean oil futures and rapeseed oil futures is stronger. Both oil futures and palm oil futures have greater volatility spillover effects on each other, and there is a significant volatility spillover effect between palm oil futures and rapeseed oil futures.
(5) to develop "futures agriculture", to cultivate the participants in the futures market, to strengthen the innovation of market trading varieties, to improve the service function of the exchange, and to improve the competitiveness of the futures market by improving the performance of the futures market.
Based on the empirical analysis of the operational performance of China's agricultural product futures market and the operation of the futures market participants, agricultural enterprises and macroeconomic policies on the futures market, the demand side and the supply side of the futures market, the suppliers and the supply side, the demand side and the supply of the futures market, are combined with the typical case analysis. The strategy of promoting the performance of the city futures market is put forward by the intermediary and the macro system system. We should vigorously develop "futures agriculture", let the agricultural futures market go deep into every link of the agricultural production, and actively cultivate and strengthen the participants in the futures market, strengthen the innovation of the market trade variety, improve the service function of the exchange, and promote the negotiation. Agricultural Futures Company competitiveness, and actively provide policy support and system protection.
The main innovation points:
(1) research angle of view. First of all, there are few previous studies to analyze the role of futures market from the perspective of the participants in the agricultural futures market. This paper takes the agricultural enterprises as one of the participants of the agricultural futures market as the object, and analyzes the effect of the use of futures tools on the enterprise value and performance, and discusses the operational performance of the futures market of agricultural products. Secondly, the previous research on the performance of the agricultural futures market has many studies on one or some specific varieties, and there are many studies on the performance of the market performance in one aspect (volatility, liquidity or effectiveness), but the overall performance of the agricultural futures market is comprehensive, and the systematic research is rare. This article is based on our agricultural products. The futures market is the research object, comprehensive, systematic and in-depth analysis of its operating performance to provide reference for measuring the running quality of China's agricultural product futures market. Thirdly, the study of the impact of macroeconomic policies on the futures market has been mainly analyzed from the qualitative perspective, and there are few quantitative analysis. This paper selects the financial policy indicators of macro economy. And a model of monetary policy to construct a model to quantitatively analyze the impact of macroeconomic on China's agricultural futures market. Finally, the previous research on market volatility spillover mainly focuses on the spillover effects of domestic and foreign markets and the spillover effects of different varieties in the same region, and studies on the volatility spillover effects of the same species in the same region. Not much, in this paper, the oil and oil futures in China (soybean oil, rapeseed oil and palm oil) are taken as the research object, and the volatility spillover effect between them is discussed, which will provide reference for the operation of the similar futures in China.
(2) research methods. This paper, focusing on the core problem of the performance of agricultural futures market in China, adopts statistical analysis method, econometric analysis method, case analysis method, comprehensive application of institutional economics theory, enterprise value theory, motivation theory, price wave theory, liquidity theory, market effectiveness theory and financial market. The microstructural theory forms an integrated theoretical analysis framework. This interdisciplinary and diversified research method is rarely seen in previous futures research.
【學(xué)位授予單位】：華中農(nóng)業(yè)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F724.5

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相關(guān)期刊論文 前10條

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